SAS Institute Inc.
Wei Chen is a Principal Product Manager for global risk products at SAS Institute Inc. He has more than ten years of industry experience in risk analytics and technology for both banking and insurance. In SAS he has managed research and development of several major risk management solutions that enables regulatory and advanced internal model risk management and risk based decision making. He also holds several approved or pending patents in risk technology for SAS.
Prior to his graduate study, he managed international trading and investment projects in food produce and product with Mitsui and Co. Ltd operation in China. Wei has published many papers in finance and risk journals as well as conference proceedings. His specialty covers liquidity, credit, market and enterprise risk management. He has actively presented and organized sessions in Institute for Operations Research and Management Sciences (INFORMS), International Financial Management Association (FMA) and Global Association of Risk Professionals (GARP) meetings. Wei is currently a director of the North Carolina Chapter of Global Association of Risk Professionals (GARP).
Wei received his PhD with primary research area in econometric modeling of fixed income securities and credit risk from the University of Iowa. He is a certified Financial Risk Manager (FRM). Wei also holds adjunct professorship with North Carolina State University.
Articles by Wei Chen
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
What can we learn from what a machine has learned? Interpreting credit risk machine learning models
This paper studies a few popular machine learning models using LendingClub loan data, and judges these on performance and interpretability
On the correlation and parametric approaches to calculation of credit value adjustment
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
This paper focuses on the corporate stress testing models for credit risk.
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.